The Federal Reserve's recent report, showing large commercial bank passthrough holdings plunging by $63.5 billion to $367.3 billion, from $430.8 billion in the week ending June 15, spurred a flurry of theories as to how the big dip came about.

"The question is whether the data is noisy," said Glenn Boyd, head of MBS strategy at Barclays Capital. He noted that the huge drop has put bank holdings at their lowest level since 2004. Although the extent of the downward movement is unprecedented, there was a significant $80 billion rise in holdings earlier in the year. Typically, bank MBS holdings sway up or down by no more than $5 billion to $10 billion increments.

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